davidkat at davidkatzconsulting.com
2007-Jan-30 23:31 UTC
[R] SparseM and Stepwise Problem
I'm trying to use stepAIC on sparse matrices, and I need some help. The documentation for slm.fit suggests: slm.fit and slm.wfit call slm.fit.csr to do Cholesky decomposition and then backsolve to obtain the least squares estimated coefficients. These functions can be called directly if the user is willing to specify the design matrix in matrix.csr form. This is often advantageous in large problems to reduce memory requirements. I need some help or a reference that will show how to create the design matrix from data in matrix.csr form. Thanks for any help. -- David Katz www.davidkatzconsulting.com 541 482-1137 [[alternative HTML version deleted]]
One simple possibility -- if you can generate the X matrix in dense form is the coercion X <- as.matrix.csr(X) Unfortunately, there is no current way to go from a formula to a sparse X matrix without passing through a dense version of X first. Otherwise you need to use new() to define the X matrix directly. This is usually not that difficult, but it depends on the model.... url: www.econ.uiuc.edu/~roger Roger Koenker email rkoenker at uiuc.edu Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820 On Jan 30, 2007, at 5:31 PM, davidkat at davidkatzconsulting.com wrote:> I'm trying to use stepAIC on sparse matrices, and I need some help. > The documentation for slm.fit suggests: > slm.fit and slm.wfit call slm.fit.csr to do Cholesky decomposition > and then > backsolve to obtain the least squares estimated coefficients. These > functions can be > called directly if the user is willing to specify the design matrix > in matrix.csr form. > This is often advantageous in large problems to reduce memory > requirements. > I need some help or a reference that will show how to create the > design matrix from > data in matrix.csr form. > Thanks for any help. > > > -- > David Katz > www.davidkatzconsulting.com > 541 482-1137 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code.